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3874Margin Call Amount 4A short futures account starts with initial margin 7500, multiplier 60, and settlements [130, 128, 125, 126, 123]. Maintenance never binds on this path. Treasury sweeps out any end-of-day balance above the initial margin, leaving exactly the initial margin in the account after each close. Ignoring interest, how much cash is withdrawn in total?金融与交易中等derivation未尝试面试订阅3875Margin Call Amount 5A long futures account starts with initial margin 6800, multiplier 75, and settlements [55, 57, 56, 59, 58]. Maintenance never binds on this path. Treasury sweeps out any end-of-day balance above the initial margin, leaving exactly the initial margin in the account after each close. Ignoring interest, how much cash is withdrawn in total?金融与交易中等derivation未尝试面试订阅3891CIP Fair FX Forward 1Under covered interest parity with continuous compounding, spot is 1.08, forward is 1.113, the domestic rate is 5.00%, and maturity is 1.5 years. What foreign rate is implied?金融与交易中等derivation未尝试面试订阅3892CIP Fair FX Forward 2Under covered interest parity with continuous compounding, spot is 145, forward is 147.95, the foreign rate is 1.00%, and maturity is 0.75 years. What domestic rate is implied?金融与交易中等derivation未尝试面试订阅3893CIP Fair FX Forward 3Spot is 0.92, the fair CIP forward is 0.9386, the domestic rate is 4.00%, and the foreign rate is 2.00% under continuous compounding. What maturity is implied?金融与交易中等derivation未尝试面试订阅3894CIP Fair FX Forward 4The fair FX forward is 112.5 under continuous compounding. If the domestic rate is 3.00%, the foreign rate is 1.50%, and maturity is 0.5 years, what spot rate is implied by CIP?金融与交易中等derivation未尝试面试订阅3895CIP Fair FX Forward 5Spot is 1.32, forward is 1.3003, and maturity is 1 year under continuous compounding. What domestic-minus-foreign rate differential r d-r f is implied by CIP?金融与交易中等derivation未尝试面试订阅3896Implied FX Basis 1Define an FX basis spread b by F 0=S 0e (r d-r f-b)T . If spot is 1.1, observed forward is 1.125, domestic rate is 0.04, foreign rate is 0.01, and maturity is 1, what is the implied basis b?金融与交易中等derivation未尝试面试订阅3897Implied FX Basis 2Define an FX basis spread b by F 0=S 0e (r d-r f-b)T . If spot is 145, observed forward is 146.2, domestic rate is 0.02, foreign rate is 0.005, and maturity is 0.5, what is the implied basis b?金融与交易中等derivation未尝试面试订阅3899Implied FX Basis 4Define an FX basis spread b by F 0=S 0e (r d-r f-b)T . If spot is 7.2, observed forward is 7.06, domestic rate is 0.015, foreign rate is 0.025, and maturity is 1.5, what is the implied basis b?金融与交易中等derivation未尝试面试订阅3906Domestic Cash Needed for a Covered FX Hedge 1You must lock in the domestic-currency cost of buying 10000000 units of foreign currency at time 1. Spot is 1.1, domestic rate is 0.04, and foreign rate is 0.01 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3907Domestic Cash Needed for a Covered FX Hedge 2You must lock in the domestic-currency cost of buying 5000000 units of foreign currency at time 0.5. Spot is 145, domestic rate is 0.02, and foreign rate is 0.005 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3909Domestic Cash Needed for a Covered FX Hedge 4You must lock in the domestic-currency cost of buying 8000000 units of foreign currency at time 1.5. Spot is 7.2, domestic rate is 0.015, and foreign rate is 0.025 with continuous compounding. How much domestic cash is needed today to set up the covered money-market hedge?金融与交易中等derivation未尝试面试订阅3946In-Out Parity Value 1A note pays the payoff of a no-rebate up-and-out call plus a cash rebate of 2 at expiry if the upper barrier is ever hit. The up-and-out call is worth 4.8 and the cash-at-expiry one-touch rebate is worth 0.9. What is the note worth?金融与交易中等derivation未尝试面试订阅3947In-Out Parity Value 2A structure pays a down-and-in put if the lower barrier is touched; otherwise it pays a fixed 1.5 at expiry. The down-and-in put is worth 3.2 and the no-touch cash payment is worth 1.1. What is the structure worth?金融与交易中等derivation未尝试面试订阅3948In-Out Parity Value 3A rebate-paying down-and-out put can be decomposed into a no-rebate down-and-out put plus a touch rebate. The matching vanilla put is worth 8.4, the no-rebate down-and-in put is worth 2.9, and the touch rebate is worth 0.7. What is the rebate-paying down-and-out put worth?金融与交易中等derivation未尝试面试订阅3949In-Out Parity Value 4A note pays the vanilla call payoff if an upper barrier is never hit, but pays a fixed 3 at expiry if the barrier is hit. The vanilla call is worth 12.1, the matching no-rebate up-and-in call is worth 5.4, and the touch rebate is worth 1.2. What is the note worth?金融与交易中等derivation未尝试面试订阅3950In-Out Parity Value 5A portfolio is long a vanilla put, short the matching no-rebate knock-out put, and long a no-touch cash note worth 0.8. The vanilla put is worth 7.6 and the knock-out put is worth 3.1. What is the portfolio worth?金融与交易中等derivation未尝试面试订阅3966Arithmetic-Average Call IAn arithmetic-average Asian call uses four equally weighted fixings. The first three fixings are [100, 102, 98], the strike is 100, and the desk wants the final payoff to be 4. What fourth fixing is required?金融与交易中等derivation未尝试面试订阅3967Arithmetic-Average Put IAn arithmetic-average Asian put uses four equally weighted fixings. The first three fixings are [80, 78, 82], the strike is 81, and the desk wants the final payoff to be 2.5. What fourth fixing is required?金融与交易中等derivation未尝试面试订阅